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An introduction to financial markets : a quantitative approach

Author: Paolo Brandimarte
Publisher: Hoboken, NJ : John Wiley & Son, 2018.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Brandimarte, Paolo.
Introduction to financial markets.
Hoboken, NJ : John Wiley & Son, 2018
(OCoLC)987796202
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Paolo Brandimarte
ISBN: 9781118594667 1118594665 9781118594773 1118594770 9781119450290 1119450292
OCLC Number: 1031030111
Description: 1 online resource (1 volume) : illustrations
Contents: ""An Introduction to Financial Markets: A Quantitative Approach""; ""Contents""; ""Preface""; ""About the Companion Website""; ""Part I Overview""; ""1 Financial Markets: Functions, Institutions, and Traded Assets""; ""1.1 What is the purpose of finance?""; ""1.2 Traded assets""; ""1.2.1 The balance sheet""; ""1.2.2 Assets vs. securities""; ""1.2.3 Equity""; ""1.2.4 Fixed income""; ""1.2.5 FOREX markets""; ""1.2.6 Derivatives""; ""1.3 Market participants and their roles""; ""1.3.1 Commercial vs. investment banks""; ""1.3.2 Investment funds and insurance companies"" ""1.3.3 Dealers and brokers""""1.3.4 Hedgers, speculators, and arbitrageurs""; ""1.4 Market structure and trading strategies""; ""1.4.1 Primary and secondary markets""; ""1.4.2 Over-the-counter vs. exchange-traded derivatives""; ""1.4.3 Auction mechanisms and the limit order book""; ""1.4.4 Buying on margin and leverage""; ""1.4.5 Short-selling""; ""1.5 Market indexes""; ""Problems""; ""Further reading""; ""Bibliography""; ""2 Basic Problems in Quantitative Finance""; ""2.1 Portfolio optimization""; ""2.1.1 Static portfolio optimization: Meanâ#x80;#x93;variance efficiency"" ""2.1.2 Dynamic decision-making under uncertainty: A stylized consumptionâ#x80;#x93;saving model""""2.2 Risk measurement and management""; ""2.2.1 Sensitivity of asset prices to underlying risk factors""; ""2.2.2 Risk measures in a non-normal world: Value-atrisk""; ""2.2.3 Riskmanagement: Introductory hedging examples""; ""2.2.4 Financial vs. nonfinancial risk factors""; ""2.3 The no-arbitrage principle in asset pricing""; ""2.3.1 Why do we need asset pricing models?""; ""2.3.2 Arbitrage strategies""; ""2.3.3 Pricing by no-arbitrage""; ""2.3.4 Option pricing in a binomial model"" ""2.3.5 The limitations of the no-arbitrage principle""""2.4 The mathematics of arbitrage""; ""2.4.1 Linearity of the pricing functional and law of one price""; ""2.4.2 Dominant strategies""; ""2.4.3 No-arbitrage principle and risk-neutral measures""; ""S2.1 Multiobjective optimization""; ""S2.2 Summary of LP duality""; ""Problems""; ""Further reading""; ""Bibliography""; ""Part II Fixed-income assets""; ""3 Elementary Theory of Interest Rates""; ""3.1 The time value of money: Shifting money forward in time""; ""3.1.1 Simple vs. compounded rates"" ""3.1.2 Quoted vs. effective rates: Compounding frequencies""""3.2 The time value of money: Shifting money backward in time""; ""3.2.1 Discount factors and pricing a zero-coupon bond""; ""3.2.2 Discount factors vs. interest rates""; ""3.3 Nominal vs. real interest rates""; ""3.4 The term structure of interest rates""; ""3.5 Elementary bond pricing""; ""3.5.1 Pricing coupon-bearing bonds""; ""3.5.2 Frombond prices to term structures, and vice versa""; ""3.5.3 What is a risk-free rate, anyway?""; ""3.5.4 Yield-to-maturity""; ""3.5.5 Interest rate risk""; ""3.5.6 Pricing floating rate bonds""
Responsibility: Paolo Brandimarte.

Abstract:

COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by real-life cases and actual market structures, An Introduction to Financial Markets: A Quantitative Approach accentuates theory through quantitative modeling whenever and wherever necessary. It focuses on the lessons learned from timely subject matter such as the impact of the recent subprime mortgage storm, the collapse of LTCM, and the harsh criticism on risk management and innovative finance. The book also provides the necessary foundations in stochastic calculus and optimization, alongside financial modeling concepts that are illustrated with relevant and hands-on examples. An Introduction to Financial Markets: A Quantitative Approach starts with a complete overview of the subject matter. It then moves on to sections covering fixed income assets, equity portfolios, derivatives, and advanced optimization models. This book's balanced and broad view of the state-of-the-art in financial decision-making helps provide readers with all the background and modeling tools needed to make "honest money" and, in the process, to become a sound professional.-Stresses that gut feelings are not always sufficient and that "critical thinking" and real world applications are appropriate when dealing with complex social systems involving multiple players with conflicting incentives -Features a related website that contains a solution manual for end-of-chapter problems -Written in a modular style for tailored classroom use -Bridges a gap for business and engineering students who are familiar with the problems involved, but are less familiar with the methodologies needed to make smart decisions An Introduction to Financial Markets: A Quantitative Approach offers a balance between the need to illustrate mathematics in action and the need to understand the real life context. It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engi-neering, decision science, and management science students.

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